Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1109
Annualized Std Dev 0.2062
Annualized Sharpe (Rf=0%) 0.5380

Row

Daily Return Statistics

Close
Observations 3332.0000
NAs 1.0000
Minimum -0.1255
Quartile 1 -0.0042
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0063
Maximum 0.1098
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0130
Skewness -0.2594
Kurtosis 11.3786

Downside Risk

Close
Semi Deviation 0.0095
Gain Deviation 0.0092
Loss Deviation 0.0108
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0093
Downside Deviation (0%) 0.0093
Maximum Drawdown 0.4892
Historical VaR (95%) -0.0198
Historical ES (95%) -0.0322
Modified VaR (95%) -0.0188
Modified ES (95%) -0.0297
From Trough To Depth Length To Trough Recovery
2007-12-27 2009-03-09 2011-07-07 -0.4892 889 301 588
2020-02-20 2020-03-23 2020-06-09 -0.3123 77 23 54
2018-10-02 2018-12-24 2019-04-23 -0.2267 139 58 81
2011-07-25 2011-10-03 2012-02-01 -0.1719 133 50 83
2015-07-21 2016-02-11 2016-07-28 -0.1558 259 143 116

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA NA -0.9 -0.9
2008 1.2 -2.4 3 1.7 0.3 0.2 -0.8 -1.6 -1.3 1.5 -7.8 1.2 -5.2
2009 -2.3 -1.5 1.6 0.5 2.4 0.2 -0.1 -1.6 -2.4 -2.2 1.2 -1 -5.1
2010 1.4 0.9 0.5 -1.6 -1.4 0 0.1 2.9 0.2 0.2 2.1 -0.1 5.1
2011 1.4 -1.5 0.4 0.1 -2.1 1.4 -0.3 -0.9 -2.6 -2.7 0.1 -0.3 -6.8
2012 0.8 0.7 0.2 0.3 -2.6 2.7 -0.4 0.5 0.2 1 0 1.9 5.2
2013 1 0.4 -0.5 -0.6 -1.4 0.9 1.2 -0.5 0.8 0.2 0.1 0.6 2.1
2014 -0.6 0.1 1.1 0.3 0.1 0.9 -0.3 0.2 -1.4 1.2 -1 -0.9 -0.5
2015 -0.9 -0.4 -0.4 1.2 0.3 0.8 -0.2 -2.8 0.4 -0.4 0.9 -1 -2.4
2016 0.3 2.7 0.9 -0.3 0.1 0.5 0.3 0.1 0.7 -0.8 -1.1 -0.6 2.8
2017 0.5 1.3 -0.1 0.4 0.6 0.2 0.2 0.1 0.5 0.1 -0.3 -0.4 3.3
2018 -0.5 -1.4 1.7 0.7 1.2 0.1 0.4 0.1 0.4 1.4 0.7 0.9 5.8
2019 -0.2 0.9 1.1 -0.6 -1.4 1 -0.5 -0.2 -1.3 0.9 -0.3 0.2 -0.6
2020 -1.7 0.4 -4.5 -2.7 0.7 1.2 1.6 1.5 1.4 -2.1 1.3 0.2 -2.9
2021 2.4 2.7 0.1 NA NA NA NA NA NA NA NA NA 5.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-12-21  50.5 SPY    148.  0.0143   0.0118  0.051    -0.0184   0.0476    0.237    0.670 GLD    80.1  0.0182   0.0201
2 2007-12-24  50.9 SPY    149.  0.0074   0.0287  0.0354   -0.0143   0.0537    0.237    0.658 GLD    80.1  0.0005   0.0257
3 2007-12-26  50.9 SPY    150.  0.0021   0.0252  0.061    -0.0173   0.0625    0.238    0.661 GLD    81.5  0.0172   0.0286
4 2007-12-27  50.5 SPY    148. -0.0126   0.0123  0.0358   -0.0354   0.043     0.225    0.653 GLD    81.6  0.0005   0.0293
5 2007-12-28  50.4 SPY    147. -0.0025   0.0034  0.00120  -0.0346   0.0336    0.216    0.648 GLD    83    0.0177   0.055 
6 2007-12-31  50.0 SPY    146. -0.0074  -0.013  -0.0066   -0.0524   0.0281    0.205    0.673 GLD    82.5 -0.0065   0.0295
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart